Published on 2/1/2016 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $6.35 million dual directional knock-out notes linked to S&P 500
By Angela McDaniels
Tacoma, Wash., Feb. 1 – Credit Suisse AG, London Branch priced $6.35 million of 0% dual directional capped knock-out notes due Aug. 1, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index finishes above the initial level, the payout at maturity will be par plus the index return, subject to a maximum return of 18.8%.
If the final index level is less than or equal to the initial index level but the index does not decline by more than 18.8%, the payout will be par plus the absolute value of the index return.
If the index declines by more than 18.8%, investors will be fully exposed to the index’s decline from its initial level.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Dual directional capped knock-out notes
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Underlying index: | S&P 500
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Amount: | $6,345,000
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Maturity: | Aug. 1, 2017
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index finishes above initial level, par plus index return, subject to 18.8% maximum return; if final index level is less than or equal to initial index level but index does not decline by more than 18.8%, par plus absolute value of index return; if index declines by more than 18.8%, full exposure to index’s decline from initial level
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Initial index level: | 1,940.24
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Final index level: Average of index’s closing levels on five trading days ending July 27, 2017
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Pricing date: | Jan. 29
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Settlement date: | Feb. 2
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Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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Fees: | 1.25%Cusip: | 22546VVC7
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